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Discretionary Deletions From The S&P 500 Index: Evidence On Forecasted And Realized Earnings., Stoyu Ivanov
Discretionary Deletions From The S&P 500 Index: Evidence On Forecasted And Realized Earnings., Stoyu Ivanov
Faculty Publications
The literature in the area of index changes finds evidence that index changes are information free events. However, Denis, McConnell, Ovtchinnikov and Yu (2003) find evidence contrary to this theory. This study extends the work of Denis, McConnell, Ovtchinnikov and Yu (2003) in an attempt to complete the assessment of the information hypothesis of index changes. Denis, McConnell, Ovtchinnikov and Yu (2003) address only index additions and do not examine index deletions in their study. Our contribution is in filling this void in the literature by examining forecasted and realized earnings of firms discretionary deleted from the S&P 500 index …